Its not rare here!--we often have "thunder snow" during strong Nor'easters here,I have not only seen lightning during a blizzard,I have had it strike trees in the woods near my house,once a lamp next to my bed had its bulb POP like a firecracker when lightning struck during a snowstorm,and the lamp wasn't even turned on!...I have seen lightning and heard thunder during maybe 6 storms so far here in the past 10 or so years..
The Blizzard of '78 we had severe lightning during its highest point too..